External Shocks and Business Cycle Fluctuations in Mexico : How Important are U.S. Factors?.

By: Sosa, SebastianMaterial type: TextTextSeries: IMF Working PapersPublisher: Washington : International Monetary Fund, 2008Copyright date: ©2008Description: 1 online resource (33 pages)Content type: text Media type: computer Carrier type: online resourceISBN: 9781451914153Subject(s): Business cycles -- Mexico -- Econometric models | Mexico -- Economic conditions -- Econometric models | Mexico -- Foreign economic relations -- United States -- Econometric modelsGenre/Form: Electronic books.Additional physical formats: Print version:: External Shocks and Business Cycle Fluctuations in Mexico : How Important are U.S. Factors?DDC classification: 338.542 LOC classification: HB3711 -- .S67 2008ebOnline resources: Click to View
Contents:
Intro -- Contents -- I. Introduction -- II. The Econometric Model -- A. Specification and Identification Strategy -- B. Block Structure, Variables, and Data -- C. Estimation Issues -- III. The Role of U.S. Demand and Other External Shocks in Mexican Output Fluctuations.. -- IV. Capturing U.S. Demand Linkages to Mexico: Which U.S. Variables Help Explain Fluctuations in Mexican Economic Activity? -- A. Bivariate VARs: Variance Decomposition Analysis -- B. Synchronization Between the U.S. and Mexican Economies -- V. U.S. Shocks and Business Cycle Fluctuations in Mexico: Potential Spillovers and Channels of Transmission -- A. Explaining Services Sector GDP, with Unrestricted VAR Models -- B. Channels Other Than External Trade? -- VI. Concluding Remarks -- References -- Tables -- 1. Variance Decomposition of Mexican Real Output: Post-NAFTA Period -- 2. Size of the Shocks and Output Response in Mexico: Post-NAFTA -- 3. Variance Decomposition of Mexican Real Output: Post-NAFTA Period (Using U.S. GDP as a Proxy for U.S. Demand) -- 4. Variance Decomposition of Mexican Real Output: Post-NAFTA Period (Using U.S. Imports as a Proxy for U.S. Demand) -- 5. Variance Decomposition of Mexican Real Output: Post-NAFTA Period (Using U.S. Real Interest Rate as a Proxy for International Financial Conditions) -- 6. Variance Decomposition of Mexican Real Output: Post-NAFTA Period (Using VIX Volatility Index as a Proxy for International Financial Conditions) -- 7. Variance Decomposition of Mexican Real Output: Post-NAFTA Period (Using Junk Bond Yields as a Proxy for International Financial Conditions) -- 8. Variance Decomposition of Mexican Real Output: 1980Q1-2007Q2 -- 9. Size of the Shocks and Output Response in Mexico: 1980Q1-2007Q2 -- 10. Mexican GDP and U.S. Variables: Bivariate VARs -- 11. Mexican Exports and U.S. Variables: Bivariate VARs.
12. Cross Correlations of Mexican GDP and U.S. Variables -- 13. Cross Correlations of Mexican Exports and U.S. Variables -- 14. Cross Correlations of Mexican GDP (Services) and U.S. Variables -- 15. Variance Decomposition of Mexico's Real Output in Services -- 16. Variance Decomposition of Mexico's Real Output in Services (Using U.S. GDP as a Proxy for U.S. Demand) -- 17. Variance Decomposition of Mexico's Real Output in Services (Using U.S. Imports as a Proxy for U.S. Demand) -- Figures -- 1. Response of Real Output to a U.S. Industrial Production Shock -- 2. Response of Real Output to a U.S. GDP Shock -- 3. Response of Real Output to a U.S. Imports Shock -- 4. Response of Real Output to a U.S. Demand Shock (Post-NAFTA and 1980-2007) -- 5. Synchronization Between Mexican GDP and U.S. Variables -- 6. Synchronization Between Mexican Exports and U.S. Variables -- 7. Synchronization Between Mexican GDP (Services) and U.S. Variables -- 8. Response of Real Output in Services to a U.S. Industrial Production Shock -- 9. Response of Real Output in Services to a U.S. GDP Shock -- 10. Response of Real Output in Services to a U.S. Imports Shock.
Summary: This paper examines the relative importance of external shocks as sources of business cycle fluctuations in Mexico, and identifies the dynamic responses of domestic output to foreign disturbances. Using a VAR model with block exogeneity restrictions, it finds that U.S. shocks explain a large share of Mexico's macroeconomic fluctuations after NAFTA. This partly reflects greater trade integration-but also Mexico's "Great Moderation," as the country escaped its former pattern of macro-financial crises. In this period, Mexico's output fluctuations have been closely synchronized with the U.S. cycle, with a large and rapid impact of U.S. shocks on Mexican growth.
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Intro -- Contents -- I. Introduction -- II. The Econometric Model -- A. Specification and Identification Strategy -- B. Block Structure, Variables, and Data -- C. Estimation Issues -- III. The Role of U.S. Demand and Other External Shocks in Mexican Output Fluctuations.. -- IV. Capturing U.S. Demand Linkages to Mexico: Which U.S. Variables Help Explain Fluctuations in Mexican Economic Activity? -- A. Bivariate VARs: Variance Decomposition Analysis -- B. Synchronization Between the U.S. and Mexican Economies -- V. U.S. Shocks and Business Cycle Fluctuations in Mexico: Potential Spillovers and Channels of Transmission -- A. Explaining Services Sector GDP, with Unrestricted VAR Models -- B. Channels Other Than External Trade? -- VI. Concluding Remarks -- References -- Tables -- 1. Variance Decomposition of Mexican Real Output: Post-NAFTA Period -- 2. Size of the Shocks and Output Response in Mexico: Post-NAFTA -- 3. Variance Decomposition of Mexican Real Output: Post-NAFTA Period (Using U.S. GDP as a Proxy for U.S. Demand) -- 4. Variance Decomposition of Mexican Real Output: Post-NAFTA Period (Using U.S. Imports as a Proxy for U.S. Demand) -- 5. Variance Decomposition of Mexican Real Output: Post-NAFTA Period (Using U.S. Real Interest Rate as a Proxy for International Financial Conditions) -- 6. Variance Decomposition of Mexican Real Output: Post-NAFTA Period (Using VIX Volatility Index as a Proxy for International Financial Conditions) -- 7. Variance Decomposition of Mexican Real Output: Post-NAFTA Period (Using Junk Bond Yields as a Proxy for International Financial Conditions) -- 8. Variance Decomposition of Mexican Real Output: 1980Q1-2007Q2 -- 9. Size of the Shocks and Output Response in Mexico: 1980Q1-2007Q2 -- 10. Mexican GDP and U.S. Variables: Bivariate VARs -- 11. Mexican Exports and U.S. Variables: Bivariate VARs.

12. Cross Correlations of Mexican GDP and U.S. Variables -- 13. Cross Correlations of Mexican Exports and U.S. Variables -- 14. Cross Correlations of Mexican GDP (Services) and U.S. Variables -- 15. Variance Decomposition of Mexico's Real Output in Services -- 16. Variance Decomposition of Mexico's Real Output in Services (Using U.S. GDP as a Proxy for U.S. Demand) -- 17. Variance Decomposition of Mexico's Real Output in Services (Using U.S. Imports as a Proxy for U.S. Demand) -- Figures -- 1. Response of Real Output to a U.S. Industrial Production Shock -- 2. Response of Real Output to a U.S. GDP Shock -- 3. Response of Real Output to a U.S. Imports Shock -- 4. Response of Real Output to a U.S. Demand Shock (Post-NAFTA and 1980-2007) -- 5. Synchronization Between Mexican GDP and U.S. Variables -- 6. Synchronization Between Mexican Exports and U.S. Variables -- 7. Synchronization Between Mexican GDP (Services) and U.S. Variables -- 8. Response of Real Output in Services to a U.S. Industrial Production Shock -- 9. Response of Real Output in Services to a U.S. GDP Shock -- 10. Response of Real Output in Services to a U.S. Imports Shock.

This paper examines the relative importance of external shocks as sources of business cycle fluctuations in Mexico, and identifies the dynamic responses of domestic output to foreign disturbances. Using a VAR model with block exogeneity restrictions, it finds that U.S. shocks explain a large share of Mexico's macroeconomic fluctuations after NAFTA. This partly reflects greater trade integration-but also Mexico's "Great Moderation," as the country escaped its former pattern of macro-financial crises. In this period, Mexico's output fluctuations have been closely synchronized with the U.S. cycle, with a large and rapid impact of U.S. shocks on Mexican growth.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2018. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

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